PNRAX vs. DFIEX
Compare and contrast key facts about Putnam Research Fund (PNRAX) and DFA International Core Equity Portfolio I (DFIEX).
PNRAX is managed by Putnam. It was launched on Oct 2, 1995. DFIEX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
PNRAX vs. DFIEX - Performance Comparison
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PNRAX vs. DFIEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PNRAX Putnam Research Fund | -3.29% | 18.11% | 26.21% | 28.83% | -17.45% | 24.32% | 20.01% | 32.83% | -4.81% | 23.19% |
DFIEX DFA International Core Equity Portfolio I | 2.80% | 36.18% | 3.99% | 17.50% | -13.51% | 13.85% | 7.73% | 21.70% | -17.41% | 28.04% |
Returns By Period
In the year-to-date period, PNRAX achieves a -3.29% return, which is significantly lower than DFIEX's 2.80% return. Over the past 10 years, PNRAX has outperformed DFIEX with an annualized return of 14.63%, while DFIEX has yielded a comparatively lower 9.64% annualized return.
PNRAX
- 1D
- 3.01%
- 1M
- -4.49%
- YTD
- -3.29%
- 6M
- -0.60%
- 1Y
- 20.82%
- 3Y*
- 20.08%
- 5Y*
- 12.29%
- 10Y*
- 14.63%
DFIEX
- 1D
- 3.02%
- 1M
- -6.42%
- YTD
- 2.80%
- 6M
- 8.00%
- 1Y
- 30.46%
- 3Y*
- 16.74%
- 5Y*
- 9.40%
- 10Y*
- 9.64%
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PNRAX vs. DFIEX - Expense Ratio Comparison
PNRAX has a 1.03% expense ratio, which is higher than DFIEX's 0.24% expense ratio.
Return for Risk
PNRAX vs. DFIEX — Risk / Return Rank
PNRAX
DFIEX
PNRAX vs. DFIEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Putnam Research Fund (PNRAX) and DFA International Core Equity Portfolio I (DFIEX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| PNRAX | DFIEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.15 | 1.95 | -0.80 |
Sortino ratioReturn per unit of downside risk | 1.71 | 2.55 | -0.83 |
Omega ratioGain probability vs. loss probability | 1.27 | 1.39 | -0.12 |
Calmar ratioReturn relative to maximum drawdown | 1.78 | 2.57 | -0.79 |
Martin ratioReturn relative to average drawdown | 8.70 | 10.07 | -1.37 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| PNRAX | DFIEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.15 | 1.95 | -0.80 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.72 | 0.60 | +0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.82 | 0.59 | +0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.46 | 0.35 | +0.11 |
Correlation
The correlation between PNRAX and DFIEX is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
PNRAX vs. DFIEX - Dividend Comparison
PNRAX's dividend yield for the trailing twelve months is around 11.88%, more than DFIEX's 3.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PNRAX Putnam Research Fund | 11.88% | 11.49% | 7.57% | 0.28% | 9.46% | 7.67% | 2.02% | 7.24% | 15.09% | 1.57% | 1.06% | 1.19% |
DFIEX DFA International Core Equity Portfolio I | 3.14% | 3.22% | 3.42% | 3.36% | 2.88% | 2.98% | 1.77% | 2.90% | 2.95% | 2.49% | 2.76% | 4.20% |
Drawdowns
PNRAX vs. DFIEX - Drawdown Comparison
The maximum PNRAX drawdown since its inception was -57.49%, smaller than the maximum DFIEX drawdown of -62.22%. Use the drawdown chart below to compare losses from any high point for PNRAX and DFIEX.
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Drawdown Indicators
| PNRAX | DFIEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.49% | -62.22% | +4.73% |
Max Drawdown (1Y)Largest decline over 1 year | -12.28% | -11.01% | -1.27% |
Max Drawdown (5Y)Largest decline over 5 years | -24.37% | -28.66% | +4.29% |
Max Drawdown (10Y)Largest decline over 10 years | -33.35% | -41.04% | +7.69% |
Current DrawdownCurrent decline from peak | -5.47% | -7.75% | +2.28% |
Average DrawdownAverage peak-to-trough decline | -12.11% | -12.26% | +0.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.51% | 2.81% | -0.30% |
Volatility
PNRAX vs. DFIEX - Volatility Comparison
The current volatility for Putnam Research Fund (PNRAX) is 5.44%, while DFA International Core Equity Portfolio I (DFIEX) has a volatility of 7.09%. This indicates that PNRAX experiences smaller price fluctuations and is considered to be less risky than DFIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PNRAX | DFIEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.44% | 7.09% | -1.65% |
Volatility (6M)Calculated over the trailing 6-month period | 9.74% | 10.45% | -0.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.57% | 15.90% | +2.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.09% | 15.65% | +1.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.95% | 16.35% | +1.60% |